The Implementation of Optimal Investment Decision Strategies in Finance

最优投资决策策略在金融中的实施

• 批准号: DP0452996
• 负责人: Prof Carl Chiarella
• 金额: $ 10.44万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2004
• 资助国家: 澳大利亚
• 起止时间: 2004-01-23 至 2007-08-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0452996
• 关键词: Implementation; Optimal; Investment; Decision; Strategies

This project will develop a set of implementable solution methodologies for a class of optimal financial decision making problems of practical interest in the finance sector. It involves the application of sophisticated ideas from mathematical finance and adaptive stochastic optimal control theory. The innovation of the project lies in its application of recent advances in the solution of stochastic dynamic optimisation problems to develop practical implementations of a range of financial optimisation problems. Its outcomes will benefit both Australian financial institutions and sectors of Australia's IT industry developing innovative financial risk management software.

该项目将为金融领域中具有实际意义的一类最优金融决策问题开发一套可实施的解决方法。它涉及到数学金融学和自适应随机最优控制理论中复杂思想的应用。该项目的创新之处在于它应用了解决随机动态优化问题的最新进展，以开发一系列财务优化问题的实际实施。其结果将使澳大利亚金融机构和澳大利亚IT行业在开发创新的金融风险管理软件方面受益。